13
H index
18
i10 index
560
Citations
Ivan Paya : Citation Profile
Universidad de Alicante (50% share) | RESEARCH PRODUCTION: 48 Articles 37 Papers 3 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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20 years (2003 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Ivan Paya. | Is cited by:
| Cites to:
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Main data
Where Ivan Paya has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Lancaster University Management School, Economics Department | 22 |
| Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econmicas, S.A. (Ivie) | 7 |
Recent works citing Ivan Paya (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087. Full description at Econpapers || Download paper |
| 2025 | Downside Risk-Aware Equilibria for Strategic Decision-Making. (2025). Slumbers, Oliver ; Ganesh, Sumitra ; Ardon, Leo ; Evans, Benjamin Patrick. In: Papers. RePEc:arx:papers:2510.03446. Full description at Econpapers || Download paper |
| 2024 | Univariate Measures of Persistence: A Comparative Analysis. (2024). Orraca, Maria Jose ; Martinez-Ramirez, Francisco J ; Arango-Castillo, Lenin. In: Working Papers. RePEc:bdm:wpaper:2024-11. Full description at Econpapers || Download paper |
| 2024 | Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402. Full description at Econpapers || Download paper |
| 2025 | Testing for bubbles in the Brazilian commercial real estate market. (2025). Mira, Enrico C ; Maldonado, Wilfredo L. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00017. Full description at Econpapers || Download paper |
| 2025 | What can newspaper articles reveal about the euro area economy?. (2025). Saiz, Lorena ; Magro, Manuel Medina. In: Working Paper Series. RePEc:ecb:ecbwps:20253122. Full description at Econpapers || Download paper |
| 2025 | Explosiveness in the renewable energy equity sector: International evidence. (2025). Ferrer, Romn ; Ariza, Juan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082500018x. Full description at Econpapers || Download paper |
| 2025 | Structural characteristics and non-linear fiscal multipliers. (2025). Dubey, Amlendu ; Gupta, Mahima. In: Economic Systems. RePEc:eee:ecosys:v:49:y:2025:i:1:s0939362524000694. Full description at Econpapers || Download paper |
| 2025 | Exploring the non-linear dynamics between Commercial Real Estate and systemic risk. (2025). Kladakis, George ; Lux, Nicole ; Skouralis, Alexandros. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000295. Full description at Econpapers || Download paper |
| 2025 | Let’s switch again! Testing for speculative oil price bubbles based on rotated market expectations. (2025). Kruse-Becher, Robinson. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325003794. Full description at Econpapers || Download paper |
| 2024 | Price exuberance episodes in private real estate. (2024). Urga, Giovanni ; Tsolacos, Sotiris ; Cincinelli, Peter. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924000858. Full description at Econpapers || Download paper |
| 2025 | Dating housing booms fueled by credit: A Markov switching approach. (2025). Cañizares Martínez, Carlos ; Martnez, Carlos Caizares. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000415. Full description at Econpapers || Download paper |
| 2025 | Subjective expectations and house prices. (2025). Eriksen, Jonas N ; Bro, Jeppe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002917. Full description at Econpapers || Download paper |
| 2024 | The Kőszegi–Rabin expectations-based model and risk-apportionment tasks for elicitation of higher order risk preferences. (2024). Peel, David ; Georgalos, Konstantinos ; Paya, Ivan. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:224:y:2024:i:c:p:749-770. Full description at Econpapers || Download paper |
| 2024 | Assessing the effects of borrower-based macroprudential policy on credit in the EU using intensity-based indices. (2024). Coulier, Lara ; de Schryder, Selien. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000093. Full description at Econpapers || Download paper |
| 2025 | The quantile connectedness of the international housing market. (2025). Wang, Xichen. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:152:y:2025:i:c:s0261560625000014. Full description at Econpapers || Download paper |
| 2024 | Credit risk and bubble behavior of credit default swaps in the corporate energy sector. (2024). Figuerola-Ferretti, Isabel ; Cervera, Ignacio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:702-731. Full description at Econpapers || Download paper |
| 2025 | Monetary policy spillovers and the role of prudential policies in the European Union. (2025). Coman, Andra. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025000826. Full description at Econpapers || Download paper |
| 2024 | Real exchange rate and import substitution episodes: Evidence from a developing economy. (2024). Palazzo, Gabriel. In: World Development. RePEc:eee:wdevel:v:184:y:2024:i:c:s0305750x24002225. Full description at Econpapers || Download paper |
| 2025 | Exploring Macroeconomic Determinants of Housing Bubbles: New Evidence from Dynamic Panel Probit Models. (2025). Chiang, Shu-Hen ; Chen, Chien-Fu. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:53:y:2025:i:1:d:10.1007_s11293-025-09820-8. Full description at Econpapers || Download paper |
| 2025 | Should the Occupational Pension Plans’ Investment be Long-Term or Short-Term? Evidence from China. (2025). Liu, Wenling ; Xu, Fengmin ; Jing, Kui ; Hua, Ziyue. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10677-3. Full description at Econpapers || Download paper |
| 2025 | Testing PPP hypothesis under considerations of nonlinear and asymmetric adjustments: new international evidence. (2025). Hsieh, Chun-Kuei ; Chen, Shyh-Wei ; Xie, Zixiong. In: Empirica. RePEc:kap:empiri:v:52:y:2025:i:1:d:10.1007_s10663-024-09628-w. Full description at Econpapers || Download paper |
| 2024 | Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas. (2024). Escobari, Diego ; Shahedur, MD ; Damianov, Damian S. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09925-w. Full description at Econpapers || Download paper |
| 2025 | In Der Welle Des Preises Mitschwimmen: A Multichannel View of the Weimar Hyperinflation. (2025). Sbarile, Andrea. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-025-09796-7. Full description at Econpapers || Download paper |
| 2024 | Financial and Macroeconomic Uncertainties and Real Estate Markets. (2024). Uribe, Jorge ; Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Eastern Economic Journal. RePEc:pal:easeco:v:50:y:2024:i:1:d:10.1057_s41302-023-00263-0. Full description at Econpapers || Download paper |
| 2025 | Shades of inflation targeting: insights from fractional integration. (2025). Janus, Jakub ; Dbrowski, Marek A ; Mucha, Krystian. In: MPRA Paper. RePEc:pra:mprapa:123455. Full description at Econpapers || Download paper |
| 2025 | The effects of skewness and kurtosis on production and hedging decisions: a Gram-Charlier expansion approach. (2025). Jiang, Xuejun ; Cheng, Lingju ; Dai, Xinjie. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00680-w. Full description at Econpapers || Download paper |
| 2025 | Spatial analysis of speculation in the US housing market. (2025). Mamkhezri, Jamal ; Amani, Ramin ; Manochehri, Salaheddin. In: Future Business Journal. RePEc:spr:futbus:v:11:y:2025:i:1:d:10.1186_s43093-025-00439-4. Full description at Econpapers || Download paper |
| 2025 | Examining exchange rate bubbles in Pakistan: application of sequential ADF tests. (2025). Jawad, Muhammad ; Nazir, Sidra ; Islam, Md Saiful. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:9:d:10.1007_s43546-025-00896-7. Full description at Econpapers || Download paper |
| 2025 | Structural Estimation of Higher Order Risk Preferences. (2025). Lau, Morten I ; Il, Hong. In: Econometrica. RePEc:wly:emetrp:v:93:y:2025:i:5:p:1855-1883. Full description at Econpapers || Download paper |
| 2024 | The Life Cycle of Systemic Risk and Crises. (2024). Berger, Allen N ; Sedunov, John. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:56:y:2024:i:8:p:1923-1961. Full description at Econpapers || Download paper |
| 2024 | EU ETS Market Expectations and Rational Bubbles. (2024). Kruse-Becher, Robinson ; Wegener, Christoph ; Klein, Tony. In: VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges. RePEc:zbw:vfsc24:302359. Full description at Econpapers || Download paper |
Works by Ivan Paya:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2015 | Higher-order risk preferences, constant relative risk aversion and the optimal portfolio allocation. In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | THE DECISIONS OF THE SHADOW MONETARY POLICY COMMITTEE AND MONETARY POLICY COMMITTEE SINCE 2002 In: Economic Affairs. [Full Text][Citation analysis] | article | 2 |
| 2003 | On Public Investment, the Real Exchange Rate and Growth: Some Empirical Evidence from the UK and the USA In: Manchester School. [Full Text][Citation analysis] | article | 0 |
| 2003 | Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend In: Manchester School. [Full Text][Citation analysis] | article | 9 |
| 2003 | Further Evidence on PPP Adjustment Speeds: the Case of Effective Real Exchange Rates and the EMS In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 28 |
| 2010 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2009 | Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2013 | Nonlinear causality tests and multivariate conditional heteroskedasticity: a simulation study In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2020 | Temporal aggregation of random walk processes and implications for economic analysis In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2018 | A NONLINEAR ANALYSIS OF THE REAL EXCHANGE RATE–CONSUMPTION RELATIONSHIP In: Macroeconomic Dynamics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Further empirical evidence of nonlinearity in the us monetary policy rule In: Economics Bulletin. [Full Text][Citation analysis] | article | 2 |
| 2010 | The forward premium puzzle in the interwar period and deviations from covered interest parity In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2012 | On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty In: Economics Letters. [Full Text][Citation analysis] | article | 11 |
| 2015 | Testing for linear and nonlinear Granger causality in the real exchange rate–consumption relation In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2006 | On the speed of adjustment in ESTAR models when allowance is made for bias in estimation In: Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2007 | Deterministic impulse response in a nonlinear model. An analytical expression In: Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2016 | Wealth fluctuations and investment in risky assets: The UK micro evidence on households asset allocation In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 6 |
| 2016 | Pure higher-order effects in the portfolio choice model In: Finance Research Letters. [Full Text][Citation analysis] | article | 9 |
| 2005 | Predicting real growth and the probability of recession in the Euro area using the yield spread In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 53 |
| 2004 | PREDICTING REAL GROWTH AND THE PROBABILITY OF RECESSION IN THE EURO AREA USING THE YIELD SPREAD.(2004) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
| 2012 | Forecasting monetary policy rules in South Africa In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 20 |
| 2010 | Forecasting Monetary Policy Rules in South Africa.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2021 | On the contribution of the Markowitz model of utility to explain risky choice in experimental research In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] | article | 0 |
| 2011 | Real exchange rates and time-varying trade costs In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
| 2009 | Real Exchange Rates and Time-Varying Trade Costs.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2005 | The term spread and real economic activity in the US inter-war period In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 2 |
| 2003 | Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 30 |
| 2007 | Inflation dynamics in the US - a nonlinear perspective In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 6 |
| .() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | ||
| 2013 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 83 |
| 2016 | Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun.(2016) In: The Journal of Real Estate Finance and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
| 2004 | NONLINEAR PPP UNDER THE GOLD STANDARD In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2004 | TEMPORAL AGGREGATION OF AN ESTAR PROCESS: SOME IMPLICATIONS FOR PURCHASING POWER PARITY ADJUSTMENT In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 7 |
| 2006 | Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2006 | Temporal aggregation of an ESTAR process: some implications for purchasing power parity adjustment.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2004 | ASYMMETRY IN THE LINK BETWEEN THE YIELD SPREAD AND INDUSTRIAL PRODUCTION. THRESHOLD EFFECTS AND FORECASTING In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 5 |
| 2004 | Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2005 | THE LONG MEMORY STORY OF REAL INTEREST RATES. CAN IT BE SUPPORTED? In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 0 |
| 2006 | The long memory story of real interest rates. Can it be supported?.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | A NEW ANALYSIS OF THE DETERMINANTS OF THE REAL DOLLAR-STERLING EXCHANGE RATE: 1871-1994 In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 4 |
| 2005 | A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2005 | THE PROCESS FOLLOWED BY PPP DATA. ON THE PROPERTIES OF LINEARITY TESTS In: Working Papers. Serie AD. [Full Text][Citation analysis] | paper | 10 |
| 2005 | The process followed by PPP data. On the properties of linearity tests.(2005) In: Applied Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2023 | Higher order risk attitudes: new model insights and heterogeneity of preferences In: Experimental Economics. [Full Text][Citation analysis] | article | 3 |
| 2023 | On the predictions of cumulative prospect theory for third and fourth order risk preferences In: Theory and Decision. [Full Text][Citation analysis] | article | 1 |
| 2017 | Exuberance in the U.K. Regional Housing Markets In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Higher-order moments in the theory of diversification and portfolio composition In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2012 | A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation In: Working Papers. [Full Text][Citation analysis] | paper | 21 |
| 2019 | House Prices, (Un)Affordability and Systemic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2021 | House prices, (un)affordability and systemic risk.(2021) In: New Zealand Economic Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | On the Predictions of Cumulative Prospect Theory for Third and Fourth Order Preferences In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Macroprudential Policy in the Euro Area In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Further empirical evidence on the consumption-real exchange rate anomaly. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Temporal aggregation of an ESTAR process In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | On the relationship between Nominal Exchange Rates and domestic and foreign prices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | On the relationship between nominal exchange rates and domestic and foreign prices.(2007) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2006 | On the relationship between inflation persistence and temporal aggregation In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2007 | On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | On the Relationship between Inflation Persistence and Temporal Aggregation.(2007) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2007 | Estimating Argentinas imports elasticities In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | ESTAR model with multiple fixed points. Testing and Estimation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices In: Working Papers. [Full Text][Citation analysis] | paper | 16 |
| 2009 | Linkages between Shanghai and Hong Kong stock indices.(2009) In: Applied Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
| 2009 | Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Bubbles in House Prices and their Impact on Consumption: Evidence for the US In: Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2011 | On the stability of the CRRA utility under high degrees of uncertainty In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Episodes of exuberance in housing markets In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2004 | Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability. In: Estudios de Economia Aplicada. [Full Text][Citation analysis] | article | 0 |
| 2010 | Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion In: Journal of Money, Credit and Banking. [Citation analysis] | article | 19 |
| 2010 | Inflation Dynamics in the U.S.: Global but Not Local Mean Reversion.(2010) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 19 | article | |
| 2009 | The Econometrics of Exchange Rates In: Palgrave Macmillan Books. [Citation analysis] | chapter | 3 |
| 2010 | Forecasting Monetary Rules in South Africa In: Working Papers. [Citation analysis] | paper | 2 |
| 2019 | Who benefits from being self-employed in urban Ghana? In: Working Papers. [Citation analysis] | paper | 4 |
| 2005 | Ex ante Real Returns in Forward Market Speculation in the Inter-War Period: Evidence and Prediction In: Springer Books. [Citation analysis] | chapter | 0 |
| 2004 | Estimates of US monetary policy rules with allowance for changes in the output gap In: Applied Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2004 | Term spread and real economic activity in Korea: was the crisis predictable? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2012 | The Bank of Koreas nonlinear monetary policy rule In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2003 | On the equilibrium value of the peseta In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Nonlinear dynamics in economics and finance and unit root testing In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 2019 | Flexible distribution functions, higher-order preferences and optimal portfolio allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 8 |
| 2014 | Temporal Aggregation of Random Walk Processes and Implications for Asset Prices In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2017 | TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES In: International Economic Review. [Full Text][Citation analysis] | article | 19 |
| 2012 | Forecast Evaluation of Nonlinear Models: The Case of Long‐Span Real Exchange Rates In: Journal of Forecasting. [Citation analysis] | article | 5 |
| 2011 | Systematic sampling of nonlinear models: Evidence on speed of adjustment in index futures markets In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
| 2018 | Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 27 |
| 2004 | Nonlinear Purchasing Power Parity under the Gold Standard In: Southern Economic Journal. [Full Text][Citation analysis] | article | 1 |
| 2004 | The long memory story of ex post real interest rates. Can it be supported? In: Econometrics. [Full Text][Citation analysis] | paper | 0 |
| 2008 | TESTING SIGNIFICANCE OF VARIABLES IN REGRESSION ANALYSIS WHEN THERE IS NON-NORMALITY OR HETEROSKEDASTICITY.: THE WILD BOOTSTRAP AND THE GENERALISED LAMBDA DISTRIBUTION In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
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